The Role of Investment Banks in the Securitization Process Russian Securitization Forum New York, September 2007

Table of Content 1.Evolution of Securitization in LatAm vs. EMEA 2. Asset-Backed Securities from the Investment Banker Perspective 3. Benefits to Clients (Issuers) 4. Securitization Transaction Participants

Section 1 1.Evolution of Securitization in the Emerging Markets 2. Asset-Backed Securities from the Investment Banker Perspective 3. Benefits to Clients (Issuers) 4. Securitization Transaction Participants

Evolution of LatAm Market Securitization Future Flow Beginning. In the beginning, the structured finance market was dominated by future flow transactions secured by assets denominated in foreign currencies. Given the relatively low ratings of most Emerging Market sovereigns, this form of financing was only available to the biggest, most creditworthy originators within each country. The main assets securitized in this fashion were: –receivables backed by future exports –Financial future flows generated by credit card vouchers or payment rights Growth of Local Markets. As the Latin American structure finance market has progressed, we have witnessed the emergence and increased issuance of existing asset securitizations in local currencies placed within their domestic capital markets and, more recently, in the international capital markets. This has allowed less creditworthy originators to achieve relatively low-cost financing through securitization

Evolution of Emerging Market Securitization Latin America (LatAm) 2004 Latin American Securitization (total issuance US$10.9 billion) 2005 Latin American Securitization (total issuance US$14.5 billion) 2006 Latin American Securitization (total issuance US$15.3 billion) Source: Moody‘s Investors Service

Evolution of Emerging Market Securitization Europe, Middle East and Africa (EMEA) 2006 EMEA Securitization (total issuance* US$10.9 billion) 1 st Half 2007 EMEA Securitization (total issuance* US$5.8 billion) *South Africa and Israel have been excluded due to their relatively more developed structured finance market Source: Moody‘s Investors Service

The EMEA Structured Transaction Market 1 st Half 2007 Securitization by Country (total issuance* US$5.8 billion) 1 st half 2007 Securitization by Asset Type (total issuance* US$5.8 billion) *South Africa and Israel have been excluded due to their relatively more developed structured finance market Source: Moody‘s Investors Service

EMEA Market 1 st Half 2007 Structured Transactions The chart below displays the volume of EMEA Transactions in the first half of 2007 (The chart includes both South Africa and Israel) Issuance Volume ($USD billions)

The Latin American Domestic Market 2006 Domestic Securitization by Country (total issuance US$12.2 billion) 2006 Domestic Securitization by Asset Type (total issuance US$12.2 billion)

Latin American Securitization The below chart displays the Annual Latin America Securitization from Volume ($USD billions)

Investor Base Local Markets. As existing asset securitizations have taken a firm hold on the Emerging Market securitization market, the local capital markets have grown and become more sophisticated International Markets. Issuers from Emerging Market Countries have begun to seek international investors in their securitizations. Recent Development. More recently, Institutional investors have been buying senior tranche of local deals in local currency.

Section 2 1.Evolution of Securitization in the Emerging Markets 2. Asset-Backed Securities from the Investment Banker Perspective 3. Benefits to Clients (Issuers) 4. Securitization Transaction Participants

What makes assets securitizable? While new asset classes continue to emerge and the criteria to determine securitization suitability becomes more complex, the basic principles to assess whether or not an asset can be securitized remain constant: –Known loss rates: In order to accurately assess a pool’s credit risk, there must be historical information on the loss rate of the type of asset being securitized –Predictable cashflow: Assets securitized to date have benefited from long histories of cashflow driven pool analysis allowing the rating agencies to model cashflows with a reasonable degree of confidence –Collateral value: Credit quality is impacted not only by the obligor credit quality and historical loss rates but also the realizable value of the underlying collateral. The ability to repossess defaulted collateral and resell the collateral quickly with consistent historical recovery rates is valuable when predicting cashflows –Diversity: Pool assets are less risky if they are diverse (i.e., an obligor pool living in the same region dependant on a single industry would be riskier than a diverse pool representing a cross section of the economy) –Security interest transfer: Security interest in collateral is transferred into the trust for the sole benefit of the note holders –Supporting information systems infrastructure: In order to execute a securitization, an issuer will develop infrastructure to designate those assets sold, track performance, and provide data on the securitized pool

Asset Backed Securities Underwriter’s Role DB’s ABS bankers would work with the issuer to: prepare and format performance data to meet rating agency requirements arrange and participate in initial meetings between the issuer and the surety providers prepare comprehensive presentation materials for the surety providers arrange and participate in initial meetings between the issuer and the rating agencies prepare comprehensive rating agency presentation materials perform the cashflow modeling analysis

Asset Backed Securities Underwriter’s Role (continued) DB’s ABS bankers would work with the issuer to: negotiate credit enhancement and bond structure requirements work with counsel to draft the transaction and offering documents coordinate a targeted investor roadshow to market the transaction prepare investor roadshow presentation materials manage the marketing and syndication of the transaction assist the issuer with preparation of the investor reporting materials including a dedicated ABS website

Rating Agency Negotiation Achieving the highest possible investment grade issuance level is likely to entail some degree of flexibility during the negotiating process, particularly in regard to structural changes. Extensive experience in originating and servicing the accounts warrants favorable enhancement levels on the part of the Rating Agencies. Choosing a lead manager with extensive experience in managing the rating agency process is very important for first time issuers. Credit enhancement is utilized to achieve higher ratings on securities issued. Typically, senior securities are structured to achieve triple-A ratings and subordinate securities are structured to achieve single-A or triple-B ratings. Transactions may be enhanced internally or via third parties:

Section 3 1.Evolution of Securitization in the Emerging Markets 2. Asset-Backed Securities from the Investment Banker Perspective 3. Benefits to Clients (Issuers) 4. Securitization Transaction Participants

Benefits of Securitization

Benefits of Securitization (continued)

Section 4 1.Evolution of Securitization in the Emerging Markets 2. Asset-Backed Securities from the Investment Banker Perspective 3. Benefits to Clients (Issuers) 4. Securitization Transaction Participants

Securitization Transaction Participants Managing the Transaction Investment Banker Issuer / Originator Investors Obligors Rating Agencies Counsel Trustee Guarantor Accountant

Contact Information Brigitte Posch Director Head of Latin American Securitization Deutsche Bank Securities Inc. Securitized Products Group Tel: (212)